Welcome to Theremin World.
May I suggest not being in a rush to equip your theremin with a whole load of effects (the Ke$ha approach) - whatever sort of music you want to make, the magic comes from your hands, this is subtle and can be lost in a morass of processing.
Rather, stick with your delay pedal for a while, and find out just how much variety you can extract from it with your hands and build up from there...
(Or don't - everyone is different, this is just what works for me.)
Some advice from the world of the classical thereminist which I feel is just as relevant to the sonic explorer -
(1) "less is more" (not my favourite phrase - I prefer "less, but better"
(2) "know where you want to end up" - i.e. if you want a Throbbing Gristle vibe, a space echo and a gristleizer (*) would be a good start. (Which, incidentally, is why I'm having a custom tremolo built at the moment - with the rate controllable via an expression pedal. Looking forward to spending a few months exploring it! :-)
(*) Apart from the knobs. Knob twiddling is a pain when both your hands are busy with pitch and volume. Which is a nuisance. If you want dynamic effects, an expression pedal is the way to go - until someone comes up with a better solution. Hence the custom build.